New discount and average optimality conditions for continuous-time Markov decision processes
نویسندگان
چکیده
منابع مشابه
Continuous-time Markov decision processes with nth-bias optimality criteria
In this paper, we study the nth-bias optimality problem for finite continuous-time Markov decision processes (MDPs) with a multichain structure. We first provide nth-bias difference formulas for two policies and present some interesting characterizations of an nth-bias optimal policy by using these difference formulas. Then, we prove the existence of an nth-bias optimal policy by using nth-bias...
متن کاملRisk-Sensitive and Average Optimality in Markov Decision Processes
Abstract. This contribution is devoted to the risk-sensitive optimality criteria in finite state Markov Decision Processes. At first, we rederive necessary and sufficient conditions for average optimality of (classical) risk-neutral unichain models. This approach is then extended to the risk-sensitive case, i.e., when expectation of the stream of one-stage costs (or rewards) generated by a Mark...
متن کاملContinuous time Markov decision processes
In this paper, we consider denumerable state continuous time Markov decision processes with (possibly unbounded) transition and cost rates under average criterion. We present a set of conditions and prove the existence of both average cost optimal stationary policies and a solution of the average optimality equation under the conditions. The results in this paper are applied to an admission con...
متن کاملAverage Optimality in Nonhomogeneous Infinite Horizon Markov Decision Processes
We consider a nonhomogeneous stochastic infinite horizon optimization problem whose objective is to minimize the overall average cost per-period of an infinite sequence of actions (average optimality). Optimal solutions to such problems will in general be non-stationary. Moreover, a solution which initially makes poor decisions, and then selects wisely thereafter, can be average optimal. Howeve...
متن کاملAverage Optimality for Markov Decision Processes in Borel Spaces: a New Condition and Approach
In this paper we study discrete-time Markov decision processes with Borel state and action spaces. The criterion is to minimize average expected costs, and the costs may have neither upper nor lower bounds. Wefirst provide two average optimality inequalities of opposing directions and give conditions for the existence of solutions to them. Then, using the two inequalities, we ensure the existen...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2010
ISSN: 0001-8678,1475-6064
DOI: 10.1239/aap/1293113146